Moment Estimator-Based Extreme Quantile Estimation with Erroneous Observations: Application to Elliptical Extreme Quantile Region Estimation

Abstract

In many application areas of extreme value theory, the variables of interest are not directly observable but instead contain errors. In this article, we quantify the effect of these errors in moment-based extreme value index estimation, and in corresponding extreme quantile estimation. We consider all, short-, light-, and heavy-tailed distributions. In particular, we derive conditions under which the error is asymptotically negligible. As an application, we consider affine equivariant extreme quantile region estimation under multivariate elliptical distributions.